Does the user have an Exchange mailbox as well as a Personal Folders file (.pst)? I may be way off with this but this is the only thing I can think of. In the e-mail account settings on the local machine there will be a drop box at the bottom of the window that says "Deliver new e-mail to the following location." Make sure the "Mailbox - User Name" is chosen if you want the Exchange server to keep the e-mail messages instead of the local pc.